Well, I'm pretty new to fly fishing and have been soley using dry flies. However, with Winter just around the corner, I figure there won't be as many surface insects for the trout to feed on. So, naturally I should move to nymphs. I've never fished these before, so I am pretty clueless. Do I need a different type of leader? What strike indicators work best? What about split shot or other sinkers? Thanks.

Let's start with the line. If the water you'll be fishing is more than 3 ft deep, you should probably look into a sink tip line. If it's low water, you can use a floating line, but you should use at least a 9 ft leader so the nymph has adequate line to get down and drift naturally.

You can use the same type of leader you use for dry fly fishing, though nymphing gives you the ability to go to slightly heaver lines since you don't need to worry about sinking the fly with flouro leaders (flouro sinks well).

As for what strike indicator works best, that's really a matter of opinion. I would stay away from the pinch on stuff personally. I don't find that it really stays on the line well. I prefer to use a dry fly dropper myself. Your other choices are a piece of foam or yarn. Of those two, I prefer yarn, though I couldn't tell you exactly why except that it's the first indicator I used.

Whether to use split shot depends on three things: the depth of the water, the speed of the water, and the weight of the nymph. If the weight of the nymph by itself doesn't keep it bouncing along the bottom, then you need to add weight.

__________________
My passion for catching fish is eclipsed only by the fish's passion not to be caught.
Scott

Nymphs are typically tied on heavier hooks then dries and also most comercially tied nymphs are weighted with lead wrapping or some sort of wire. Also the dryflies are much more boyant due to their bushiness, making more streamline nymphs much more apt to sink.

Bryce,
The cohesive forces between liquid molecules are responsible for what is known as "Surface Tension". Molecules at the surface do not have other "Like" molecules on all sides, and so "Cohere" more strongly with each other at the surface. This forms a "Film" which makes it more dificult to move an object through it.
The Hackle on a dry-fly takes advantage of this phenomenon. The feathers are spread out and float the fly. Most nymphs have nothing in the way of flotation as compared with dry's, and therefore do not take advantage of the surface tension. The faster a body of water moves, the less surface tension it has.